The Optimal Portfolio Weight of the Real Estates Investment

• Main Authors: Yung-Yin Tseng, 曾永印
• Other Authors: Chih-Hsing Hung
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/61809798556714592670

碩士 === 國立高雄第一科技大學 === 金融系碩士班金融組 === 103 === The price of real estates has been rose recently, that pushes the contractors build a great deal of buildings. In case of tax of actual price, it’s under investigation whether fixed to fair price or got up after amendment. Because of the market quotation, the ratio of fund is high either self-occupation or investment. That makes important to put suitable wealth in the property market. The research based on “Optimum Consumption and Portfolio Rules in a Continuous-Time Model”, Merton posted at 1971, that derived from Probabilistic Dynamic Programming. The investment portfolio’s targets are real estates, risk assets and the risk-free assets. The constantly proportional risk averse utility function as the utility function of optimum consumption. Based upon conditions, finding out the constantly proportional risk adverse utility function, the optimum ratio of house price to income. Key Word: Probabilistic Dynamic Programming、Optimum Consumption and Portfolio Rules、Constantly Proportional Risk Averse Utility Function.